Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.77
Reema Monga, Deepti Aggrawal, Jagvinder Singh
This paper fundamentally looks at the novel concept of Smart Beta investing in constructing a more efficient and well-diversified alternative investment. Smart beta has been a popular investment philosophy, although emerging countries have been slower to adopt and execute it. In this way, the study investigates the existence, performance, and robustness of smart beta strategies in a divergent financial market. Moreover, it is an initial attempt to integrate the framework of stock selection and stock weighting to construct and test smart beta strategies against the traditional Indian market benchmark (S&P BSE 500). The findings show that smart beta investing results in a better risk-return profile on an absolute and risk-adjusted basis. Furthermore, the results demonstrate the consistency and robustness of smart beta strategies in different market conditions and display their outperformance even in bearish market conditions.
{"title":"Smart Beta Investing: An Alternative Investment Paradigm in Emerging Indian Equity Market","authors":"Reema Monga, Deepti Aggrawal, Jagvinder Singh","doi":"10.15388/omee.2022.13.77","DOIUrl":"https://doi.org/10.15388/omee.2022.13.77","url":null,"abstract":"This paper fundamentally looks at the novel concept of Smart Beta investing in constructing a more efficient and well-diversified alternative investment. Smart beta has been a popular investment philosophy, although emerging countries have been slower to adopt and execute it. In this way, the study investigates the existence, performance, and robustness of smart beta strategies in a divergent financial market. Moreover, it is an initial attempt to integrate the framework of stock selection and stock weighting to construct and test smart beta strategies against the traditional Indian market benchmark (S&P BSE 500). The findings show that smart beta investing results in a better risk-return profile on an absolute and risk-adjusted basis. Furthermore, the results demonstrate the consistency and robustness of smart beta strategies in different market conditions and display their outperformance even in bearish market conditions.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44227484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.76
H. Widyanto, Jhanghiz Syahrivar, Genoveva Genoveva, Chairy Chairy
Peer-to-Peer (P2P) lending platform has enormous potential to improve financial inclusion for people in emerging countries. In this regard, the present study examined the predictors of continuance intention to borrow from P2P lending, especially as a Multi-Sided Platform (MSP) that relied heavily on critical mass to succeed. This research was among the first that analyzed the behavioral intention of P2P lending from the borrower’s perspective by expanding on the technology acceptance model (TAM) with two fundamental latent constructs for MSPs, namely perceived structural assurance and perceived critical mass. This quantitative study used Partial Least Square Structural Equation Modelling (PLS-SEM). Online questionnaires were spread to P2P lending borrowers (n =174) from all over Indonesia to measure the latent constructs. The result revealed that all the exogenous constructs did not have direct relationships with continuance intention to borrow. However, perceived structural assurance and perceived ease of borrowing indirectly affected the endogenous construct through perceived usefulness as the mediating variable. This study also offers some managerial implications for the P2P lending industry.
{"title":"Intention to use Peer-to-Peer (P2P) Lending: The Roles of Perceived Structural Assurance and Perceived Critical Mass","authors":"H. Widyanto, Jhanghiz Syahrivar, Genoveva Genoveva, Chairy Chairy","doi":"10.15388/omee.2022.13.76","DOIUrl":"https://doi.org/10.15388/omee.2022.13.76","url":null,"abstract":"Peer-to-Peer (P2P) lending platform has enormous potential to improve financial inclusion for people in emerging countries. In this regard, the present study examined the predictors of continuance intention to borrow from P2P lending, especially as a Multi-Sided Platform (MSP) that relied heavily on critical mass to succeed. This research was among the first that analyzed the behavioral intention of P2P lending from the borrower’s perspective by expanding on the technology acceptance model (TAM) with two fundamental latent constructs for MSPs, namely perceived structural assurance and perceived critical mass. This quantitative study used Partial Least Square Structural Equation Modelling (PLS-SEM). Online questionnaires were spread to P2P lending borrowers (n =174) from all over Indonesia to measure the latent constructs. The result revealed that all the exogenous constructs did not have direct relationships with continuance intention to borrow. However, perceived structural assurance and perceived ease of borrowing indirectly affected the endogenous construct through perceived usefulness as the mediating variable. This study also offers some managerial implications for the P2P lending industry.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44603962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.68
Mayara Andresa Pires Da Silva, D. Helal
The aging of population and workforce has significantly impacted living conditions in society and organizations around the world. This scenario represents a challenge for public policymakers and for the labor market, whose future depends on the maintenance of the work capacity of the older workers and their continued participation in the labour market. In this context, age management policies are increasingly important as they play a crucial role in increasing and sustaining the participation of these workers in the labor market. This theoretical essay aims to discuss age management in the Brazilian context. Specifically, it seeks to present the concept of age management and its challenges for the organizations in Brazil. Age management has been defined as the best way to strategically deal with the changes resulting from the aging of the population and consequent changes in the labor market. We argue, in this study, that the phenomenon of aging has specific characteristics in Brazil, a country with a collectivist trait in which intergenerational affective-moral-financial responsibility is the main issue.
{"title":"Age Management in the Brazilian Context: A Theoretical Discussion","authors":"Mayara Andresa Pires Da Silva, D. Helal","doi":"10.15388/omee.2022.13.68","DOIUrl":"https://doi.org/10.15388/omee.2022.13.68","url":null,"abstract":"The aging of population and workforce has significantly impacted living conditions in society and organizations around the world. This scenario represents a challenge for public policymakers and for the labor market, whose future depends on the maintenance of the work capacity of the older workers and their continued participation in the labour market. In this context, age management policies are increasingly important as they play a crucial role in increasing and sustaining the participation of these workers in the labor market. This theoretical essay aims to discuss age management in the Brazilian context. Specifically, it seeks to present the concept of age management and its challenges for the organizations in Brazil. Age management has been defined as the best way to strategically deal with the changes resulting from the aging of the population and consequent changes in the labor market. We argue, in this study, that the phenomenon of aging has specific characteristics in Brazil, a country with a collectivist trait in which intergenerational affective-moral-financial responsibility is the main issue.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41683842","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.73
Xu Le, B. Chu
Although electronic word-of-mouth via social networking sites (or sWOM) greatly induced online shopping, its importance in shopping decisions during the coronavirus disease (COVID-19) pandemic has not been holistically considered. Based on the necessity of sWOM, uses and gratifications theory (UGT), and health belief theory (HBT), this study frames a consumer shopping tendency model toward sWOM in the context of the pandemic. A web-based survey was designed to collect data from 403 respondents who are inclined to patronize e-stores during the pandemic. Next, the measurement model is examined using a two-step method of structural equation modeling. The findings specify that sWOM is an influential communication mode for online shopping in the pandemic. sWOM is of primary importance to information quality. Moreover, utilitarian value, social value, perceived threat, and self-efficacy toward shopping tendency are significantly motivated by sWOM. Lastly, information quality, utilitarian value, social value, and perceived threat are major predictors of shopping tendency during Covid-19. Finally, theoretical and practical implications are discussed.
{"title":"sWOM and Online Shopping within a Disease Menace: The Case of Vietnam","authors":"Xu Le, B. Chu","doi":"10.15388/omee.2022.13.73","DOIUrl":"https://doi.org/10.15388/omee.2022.13.73","url":null,"abstract":"Although electronic word-of-mouth via social networking sites (or sWOM) greatly induced online shopping, its importance in shopping decisions during the coronavirus disease (COVID-19) pandemic has not been holistically considered. Based on the necessity of sWOM, uses and gratifications theory (UGT), and health belief theory (HBT), this study frames a consumer shopping tendency model toward sWOM in the context of the pandemic. A web-based survey was designed to collect data from 403 respondents who are inclined to patronize e-stores during the pandemic. Next, the measurement model is examined using a two-step method of structural equation modeling. The findings specify that sWOM is an influential communication mode for online shopping in the pandemic. sWOM is of primary importance to information quality. Moreover, utilitarian value, social value, perceived threat, and self-efficacy toward shopping tendency are significantly motivated by sWOM. Lastly, information quality, utilitarian value, social value, and perceived threat are major predictors of shopping tendency during Covid-19. Finally, theoretical and practical implications are discussed.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43797888","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.71
Steven Hadikusuma, H. Siagian
During the Pandemic of COVID-19, many manufacturing companies around the world, such as Indonesia, experienced supply and demand disruption. The PMI index reflecting the operational performance declined to 27.5 in April 2020 from 45 in January 2020. This study investigates the influence of IT capability on operational performance through internal and external integration. The sample consists of 111 manufacturing companies, and data analysis adopts the Partial Least Square (PLS) approach with SmartPLS. The results revealed that nine hypotheses proposed were supported. First, IT capability directly affects internal, external integration, and operational performance. Second, internal and external integration affects operational performance. Third, IT capability indirectly affects operational performance through internal and external integration. This research paves a way on how to recover the operational performance during the pandemic. These findings also contribute to enriching and extending the acceptance of previous research in the manufacturing industry context.
{"title":"The Influence of IT Capability on Operational Performance Through Internal and External Integration: Evidence from Indonesia","authors":"Steven Hadikusuma, H. Siagian","doi":"10.15388/omee.2022.13.71","DOIUrl":"https://doi.org/10.15388/omee.2022.13.71","url":null,"abstract":"During the Pandemic of COVID-19, many manufacturing companies around the world, such as Indonesia, experienced supply and demand disruption. The PMI index reflecting the operational performance declined to 27.5 in April 2020 from 45 in January 2020. This study investigates the influence of IT capability on operational performance through internal and external integration. The sample consists of 111 manufacturing companies, and data analysis adopts the Partial Least Square (PLS) approach with SmartPLS. The results revealed that nine hypotheses proposed were supported. First, IT capability directly affects internal, external integration, and operational performance. Second, internal and external integration affects operational performance. Third, IT capability indirectly affects operational performance through internal and external integration. This research paves a way on how to recover the operational performance during the pandemic. These findings also contribute to enriching and extending the acceptance of previous research in the manufacturing industry context.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49090465","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.79
Hanan Alhussayen
This paper investigates the relationship between trading volume and market returns in the Saudi stock market. Daily data of number of shares traded and TASI returns from 2010 till mid-2021 are used for the same. The Granger causality test reveals a unidirectional relationship from returns to volume. This is supported by the findings of the VAR test and the Impulse Response Function (IRF) test. Trading volume does not carry informational content and cannot predict prices. Returns do impact volume, but the effect is not steady. The results do not provide support for the Sequential Information Arrival Hypothesis (SIAH). The asymmetric information model and the difference of opinion model can provide an explanation for the obtained results.
{"title":"The Relationship Between Trading Volume and Market Returns: A VAR/Granger Causality Testing Approach in the Context of Saudi Arabia","authors":"Hanan Alhussayen","doi":"10.15388/omee.2022.13.79","DOIUrl":"https://doi.org/10.15388/omee.2022.13.79","url":null,"abstract":"This paper investigates the relationship between trading volume and market returns in the Saudi stock market. Daily data of number of shares traded and TASI returns from 2010 till mid-2021 are used for the same. The Granger causality test reveals a unidirectional relationship from returns to volume. This is supported by the findings of the VAR test and the Impulse Response Function (IRF) test. Trading volume does not carry informational content and cannot predict prices. Returns do impact volume, but the effect is not steady. The results do not provide support for the Sequential Information Arrival Hypothesis (SIAH). The asymmetric information model and the difference of opinion model can provide an explanation for the obtained results.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42781971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.74
Vaiva Petrylė
In this paper I apply the gravity model to analyse structural changes of Lithuania’s export during the first pandemic year. Lithuania was selected as a case of a small open economy with relatively high numbers of Covid-19 cases, on one hand, and a rather small decrease of its GDP growth in 2020, on the other. The research aims to fill the gap in the current literature by investigating heterogeneity in the goods export in terms of both product groups and export destinations. I also analyse whether the importance of distance and other export determining factors changed during the pandemic year. Results suggest that Lithuania’s export is resilient to economic shocks. Although the effects of Covid-19 were heterogeneous, the pandemic year had only a negligible impact on Lithuania’s export structure. The influence of distance or other export determinants on Lithuania’s export structure did not change during 2020.
{"title":"COVID-19 Pandemic and Export: Evidence from Lithuania","authors":"Vaiva Petrylė","doi":"10.15388/omee.2022.13.74","DOIUrl":"https://doi.org/10.15388/omee.2022.13.74","url":null,"abstract":"In this paper I apply the gravity model to analyse structural changes of Lithuania’s export during the first pandemic year. Lithuania was selected as a case of a small open economy with relatively high numbers of Covid-19 cases, on one hand, and a rather small decrease of its GDP growth in 2020, on the other. The research aims to fill the gap in the current literature by investigating heterogeneity in the goods export in terms of both product groups and export destinations. I also analyse whether the importance of distance and other export determining factors changed during the pandemic year. Results suggest that Lithuania’s export is resilient to economic shocks. Although the effects of Covid-19 were heterogeneous, the pandemic year had only a negligible impact on Lithuania’s export structure. The influence of distance or other export determinants on Lithuania’s export structure did not change during 2020.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45136394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-06-21DOI: 10.15388/omee.2022.13.78
A. Ilhan, Coşkun Akdeniz, Metin Özdemir
This study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods. The domination of the high-pressure regime in the sample period indicates that depreciation pressure prevails in the Turkish foreign exchange market. During this regime, the pressure is aggravated by the rising inflation, credit growth, and VIX, and the falling of short-term external debt. Thus, in the presence of capital flows, the preferences of policy authorities regarding price stability and growth determine the course of the pressure. When these policy choices favor credit-driven growth, depreciation pressure in the foreign exchange market is exacerbated through the current account deficit.
{"title":"Analyzing Exchange Market Pressure Dynamics with Markov Regime Switching: The Case of Turkey","authors":"A. Ilhan, Coşkun Akdeniz, Metin Özdemir","doi":"10.15388/omee.2022.13.78","DOIUrl":"https://doi.org/10.15388/omee.2022.13.78","url":null,"abstract":"This study analyzes the dynamics of exchange market pressure in Turkey by employing the Markov regime switching model for the period from January 2006 to December 2019. Our findings show that there are two regimes in the foreign exchange market, characterized as low- and high-pressure periods. The domination of the high-pressure regime in the sample period indicates that depreciation pressure prevails in the Turkish foreign exchange market. During this regime, the pressure is aggravated by the rising inflation, credit growth, and VIX, and the falling of short-term external debt. Thus, in the presence of capital flows, the preferences of policy authorities regarding price stability and growth determine the course of the pressure. When these policy choices favor credit-driven growth, depreciation pressure in the foreign exchange market is exacerbated through the current account deficit.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2022-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47153494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-12-22DOI: 10.15388/omee.2021.12.60
Kingstone Nyakurukwa
The purpose of this paper is to determine whether there was information flow between the stock markets of Zimbabwe and South Africa during the time the Zimbabwean economy was dollarized. The author used econophysics-based Shannonian and Rényian transfer entropy estimates to establish the flow of information between the markets in tranquil periods as well as at the tails of return distributions. The only significant Shannonian transfer entropy estimate was from Johannesburg Stock Exchange (JSE) resources index to Zimbabwe Stock Exchange (ZSE) mining index. The findings show that the only significant tail dependence was between JSE All Share Index (JALSH) and ZSE Mining on the one hand, and between JSE Resources and ZSE Mining on the other hand. However, the magnitudes of the effective transfer entropy values are relatively low, showing that there are weak linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange. The lack of significant information flows between the exchanges of the two countries offer opportunities to fund managers for portfolio diversification. From a government point of view, it is imperative that the tempo of economic and political reform be accelerated so that integration between the markets can be fast-tracked. Integrated markets will benefit Zimbabwe as this will reduce the cost of equity and accelerate economic growth.
本文的目的是确定在津巴布韦经济美元化期间，津巴布韦和南非股市之间是否存在信息流动。作者使用基于经济学的Shannonian和Rényian转移熵估计来建立平静时期市场之间以及收益分布尾部的信息流。唯一显著的Shannonian转移熵估计是从约翰内斯堡证券交易所（JSE）资源指数到津巴布韦证券交易所（ZSE）采矿指数。研究结果表明，唯一显著的尾部依赖性是JSE All Share Index（JALSH）和ZSE Mining之间，以及JSE Resources和ZSE Mining之间。然而，有效转移熵值的幅度相对较低，表明津巴布韦证券交易所和约翰内斯堡证券交易所之间的联系较弱。两国交易所之间缺乏重要的信息流动，为基金经理提供了投资组合多样化的机会。从政府的角度来看，当务之急是加快经济和政治改革的步伐，以便加快市场之间的一体化。一体化市场将使津巴布韦受益，因为这将降低股权成本并加速经济增长。
{"title":"Information Flow Between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange: A Transfer Entropy Approach","authors":"Kingstone Nyakurukwa","doi":"10.15388/omee.2021.12.60","DOIUrl":"https://doi.org/10.15388/omee.2021.12.60","url":null,"abstract":"The purpose of this paper is to determine whether there was information flow between the stock markets of Zimbabwe and South Africa during the time the Zimbabwean economy was dollarized. The author used econophysics-based Shannonian and Rényian transfer entropy estimates to establish the flow of information between the markets in tranquil periods as well as at the tails of return distributions. The only significant Shannonian transfer entropy estimate was from Johannesburg Stock Exchange (JSE) resources index to Zimbabwe Stock Exchange (ZSE) mining index. The findings show that the only significant tail dependence was between JSE All Share Index (JALSH) and ZSE Mining on the one hand, and between JSE Resources and ZSE Mining on the other hand. However, the magnitudes of the effective transfer entropy values are relatively low, showing that there are weak linkages between the Zimbabwe Stock Exchange and the Johannesburg Stock Exchange. The lack of significant information flows between the exchanges of the two countries offer opportunities to fund managers for portfolio diversification. From a government point of view, it is imperative that the tempo of economic and political reform be accelerated so that integration between the markets can be fast-tracked. Integrated markets will benefit Zimbabwe as this will reduce the cost of equity and accelerate economic growth.","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44502580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-12-22DOI: 10.15388/omee.2021.12.61
Van Dan Dang,Hoang Chung Nguyen
The paper explores the impact of uncertainty on bank liquidity hoarding, particularly providing new insights on the nature of the impact by bank-level heterogeneity. We consider the cross-sectional dispersion of shocks to key bank variables to estimate uncertainty in the banking sector and include all banking items to construct a comprehensive measure of bank liquidity hoarding. Using a sample of Vietnamese banks during 2007–2019, we document that banks tend to increase total liquidity hoarding in response to higher uncertainty; this pattern is still valid for on- and off-balance sheet liquidity hoarding. Further analysis with bank-level heterogeneity indicates that the impact of banking uncertainty on liquidity hoarding is significantly stronger for weaker banks, i. e., banks that are smaller, more poorly capitalized, and riskier. In testing the “search for yield” hypothesis to explain the linkage between uncertainty and bank liquidity hoarding, we do not find it to be the case. Our findings remain extremely robust after multiple robustness tests.
{"title":"Bank Liquidity Hoarding Strategies in Uncertain Times: New Evidence from an Emerging Market with Bank-level Data","authors":"Van Dan Dang,Hoang Chung Nguyen","doi":"10.15388/omee.2021.12.61","DOIUrl":"https://doi.org/10.15388/omee.2021.12.61","url":null,"abstract":"


The paper explores the impact of uncertainty on bank liquidity hoarding, particularly providing new insights on the nature of the impact by bank-level heterogeneity. We consider the cross-sectional dispersion of shocks to key bank variables to estimate uncertainty in the banking sector and include all banking items to construct a comprehensive measure of bank liquidity hoarding. Using a sample of Vietnamese banks during 2007–2019, we document that banks tend to increase total liquidity hoarding in response to higher uncertainty; this pattern is still valid for on- and off-balance sheet liquidity hoarding. Further analysis with bank-level heterogeneity indicates that the impact of banking uncertainty on liquidity hoarding is significantly stronger for weaker banks, i. e., banks that are smaller, more poorly capitalized, and riskier. In testing the “search for yield” hypothesis to explain the linkage between uncertainty and bank liquidity hoarding, we do not find it to be the case. Our findings remain extremely robust after multiple robustness tests.


","PeriodicalId":43076,"journal":{"name":"Organizations and Markets in Emerging Economies","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138504780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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